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A Generalised Stochastic Volatility in Mean VAR. An Updated Algorithm

Author

Listed:
  • Haroon Mumtaz

    (Queen Mary University of London)

Abstract

In this note we present an updated algorithm to estimate the VAR with stochastic volatility proposed in Mumtaz (2018). The model is re-written so that some of the Metropolis Hastings steps are avoided.

Suggested Citation

  • Haroon Mumtaz, 2020. "A Generalised Stochastic Volatility in Mean VAR. An Updated Algorithm," Working Papers 908, Queen Mary University of London, School of Economics and Finance.
    • Handle: RePEc:qmw:qmwecw:908
    as

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    File URL: https://www.qmul.ac.uk/sef/media/econ/research/workingpapers/2020/wp908.pdf
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    References listed on IDEAS

    as
    1. Timothy Cogley & Thomas J. Sargent, 2005. "Drift and Volatilities: Monetary Policies and Outcomes in the Post WWII U.S," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 8(2), pages 262-302, April.
    2. Marta Banbura & Domenico Giannone & Lucrezia Reichlin, 2010. "Large Bayesian vector auto regressions," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 25(1), pages 71-92.
    3. Todd E. Clark, 2011. "Real-Time Density Forecasts From Bayesian Vector Autoregressions With Stochastic Volatility," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 29(3), pages 327-341, July.
    4. Andrea Carriero & Todd E. Clark & Massimiliano Marcellino, 2016. "Common Drifting Volatility in Large Bayesian VARs," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 34(3), pages 375-390, July.
    5. Marta Bańbura, 2008. "Large Bayesian VARs," 2008 Meeting Papers 334, Society for Economic Dynamics.
    6. Christophe Andrieu & Arnaud Doucet & Roman Holenstein, 2010. "Particle Markov chain Monte Carlo methods," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 72(3), pages 269-342, June.
    7. Mumtaz, Haroon, 2018. "A generalised stochastic volatility in mean VAR," Economics Letters, Elsevier, vol. 173(C), pages 10-14.
    8. Haroon Mumtaz, 2018. "A generalised stochastic volatility in mean VAR," Working Papers 855, Queen Mary University of London, School of Economics and Finance.
    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    VAR; Stochastic volatility in mean; error covariance;
    All these keywords.

    JEL classification:

    • C3 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables
    • C11 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Bayesian Analysis: General
    • E3 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles

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